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Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach

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https://hal-univ-paris10.archives-ouvertes.fr/hal-01449949
Contributor : Administrateur Hal Nanterre <>
Submitted on : Monday, January 30, 2017 - 6:52:51 PM
Last modification on : Tuesday, November 19, 2019 - 9:47:01 AM

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  • HAL Id : hal-01449949, version 1

Citation

Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher. Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach. European Journal of Operational Research, Elsevier, 2015, 244, pp.289 - 299. ⟨hal-01449949⟩

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